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Copulas, diagonals, and tail dependence
Fuzzy Sets and Systems, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Durante, Fabrizio +2 more
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Non‐parametric Estimation of Tail Dependence
Scandinavian Journal of Statistics, 2006Abstract. Dependencies between extreme events (extremal dependencies) are attracting an increasing attention in modern risk management. In practice, the concept of tail dependence represents the current standard to describe the amount of extremal dependence.
Schmidt, Rafael, Stadtmüller, Ulrich
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Tail-weighted dependence measures with limit being the tail dependence coefficient
Journal of Nonparametric Statistics, 2017For bivariate continuous data, measures of monotonic dependence are based on the rank transformations of the two variables.
David Lee, Harry Joe, Pavel Krupskii
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The simple econometrics of tail dependence
Economics Letters, 2011The aim of this paper is to show that measures on tail dependence can be estimated in a convenient way by regression analysis. This yields the same estimates as the non-parametric method within the multivariate Extreme Value Theory framework. The advantage of the regression approach is contained by its straightforward extension to the estimation of ...
Maarten R.C. van Oordt, Chen Zhou
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Permutation test of tail dependence
Statistical Methods & Applications, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bojan Basrak, Darko Brborović
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Limiting Tail Dependence Copulas
Communications in Statistics - Theory and Methods, 2009The limiting lower-tail dependence copula (LLTDC) is defined as the copula of random variables which are right-truncated at thresholds tending to their left endpoints. This article shows LLTDCs are truncation-invariant and belong to the Ahmadi-Clayton family.
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Tail dependence for two skew distributions
Statistics & Probability Letters, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fung, Thomas, Seneta, Eugene
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Mesomorphism dependence on heterocyclic tail
Molecular Crystals and Liquid Crystals, 2016ABSTRACTA novel homologous series of liquid crystal materials containing a heterocyclic ring was synthesized with a view to understanding and establishing the relation between liquid crystal (LC) properties and a molecular structure; and with a view to curing skin-related diseases following biological activity studies.
G. N. Bhola, U. C. Bhoya
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Tail-dependence in stock-return pairs [PDF]
, 2002 The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality.
Fortin, Ines, Kuzmics, Christoph
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Tail dependence and skew distributions
Quantitative Finance, 2011Luciano and Schoutens (2006) successfully implemented the multivariate skew Variance Gamma (VG) distribution to fit to a set of basic derivatives.
Thomas Fung, Eugene Seneta
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